Quantile forecasts of daily exchange rate returns from forecasts of realized volatility

Quantile forecasts are central to risk management decisions because of the widespread use of Value-at-Risk. A quantile forecast is the product of two factors: the model used to forecast volatility, and the method of computing quantiles from the volatility forecasts. In this paper we calculate and evaluate quantile forecasts of the daily exchange rate returns of five currencies. The forecasting models that have been used in recent analyses of the predictability of daily realized volatility permit a comparison of the predictive power of different measures of intraday variation and intraday returns in forecasting exchange rate variability. The methods of computing quantile forecasts include making distributional assumptions for future daily returns as well as using the empirical distribution of predicted standardized returns with both rolling and recursive samples. Our main findings are that the Heterogenous Autoregressive model provides more accurate volatility and quantile forecasts for currencies which experience shifts in volatility, such as the Canadian dollar, and that the use of the empirical distribution to calculate quantiles can improve forecasts when there are shifts

Influence of exercise modality on agreement between gas exchange and heart rate variability thresholds

The main purpose of this study was to investigate the level of agreement between the gas exchange threshold (GET) and heart rate variability threshold (HRVT) during maximal cardiopulmonary exercise testing (CPET) using three different exercise modalities. A further aim was to establish whether there was a 1:1 relationship between the percentage heart rate reserve (%HRR) and percentage oxygen uptake reserve (%V˙O2R) at intensities corresponding to GET and HRVT. Sixteen apparently healthy men 17 to 28 years of age performed three maximal CPETs (cycling, walking, and running). Mean heart rate and V˙O2 at GET and HRVT were 16 bpm (P<0.001) and 5.2 mL·kg-1·min-1 (P=0.001) higher in running than cycling, but no significant differences were observed between running and walking, or cycling and walking (P>0.05). There was a strong relationship between GET and HRVT, with R2 ranging from 0.69 to 0.90. A 1:1 relationship between %HRR and %V˙O2R was not observed at GET and HRVT. The %HRR was higher during cycling (GET mean difference=7%; HRVT mean difference=11%; both P<0.001), walking (GET mean difference=13%; HRVT mean difference=13%; both P<0.001), or running (GET mean difference=11%; HRVT mean difference=10%; both P<0.001). Therefore, using HRVT to prescribe aerobic exercise intensity appears to be valid. However, to assume a 1:1 relationship between %HRR and %V˙O2R at HRVT would probably result in overestimation of the energy expenditure during the bout of exercise.

On the Sources of Uncertainty in Exchange Rate Predictability

We analyse the role of time-variation in coefficients and other sources of uncertainty in exchange rate forecasting regressions. Our techniques incorporate the notion that the relevant set of predictors and their corresponding weights, change over time. We find that predictive models which allow for sudden rather than smooth, changes in coefficients significantly beat the random walk benchmark in out-of-sample forecasting exercise. Using innovative variance decomposition scheme, we identify uncertainty in coefficients' estimation and uncertainty about the precise degree of coefficients' variability, as the main factors hindering models' forecasting performance. The uncertainty regarding the choice of the predictor is small.

The Exchange Rate in a Dynamic-Optimizing Current Account Model with Nominal Rigidities: a Quantitative Investigation.

This paper studies a dynamic-optimizing model of a semi-small open economy with sticky nominal prices and wages. the model exhibits exchange rate overshooting in response to money supply shocks. the predicted variability of nominal and real exchange rates is roughly consistent with that of G7 effective exchange rates during the post-Bretton Woods era.

Export Promotion through Exchange Rate Policy: Exchange Rate Depreciation or Stabilization?

Exchange rate movements affect exports in two ways -- its depreciation and its variability (risk). A depreciation raises exports, but the associated exchange rate risk could offset that positive effect. The present paper investigates the net effect for eight Asian countries using a dynamic conditional correlation bivariate GARCH-M model that simultaneously estimates time varying correlation and exchange rate risk. Depreciation encourages exports, as expected, for most countries, but its contribution to export growth is weak. Exchange rate risk contributes to export growth in Malaysia and the Philippines, leading to positive net effects. Exchange rate risk generates a negative effect for six of the countries, resulting in a negative net effect in Indonesia, Japan, Singapore, Taiwan and a zero net effect in Korea and Thailand. Since the negative effect of exchange rate risk may offset, or even dominate, positive contributions from depreciation, policy makers need to reduce exchange rate fluctuation along with and possibly before efforts to depreciate the currency.

Monetary and Exchange Rate Policy in Malaysia before the Asian Crisis

This paper provides a case study to characterize the monetary policy regime in Malaysia, from a medium- and long-term perspective. Specifically, we ask how the central bank of Malaysia, Bank Negara Malaysia (BNM), has structured its monetary policy regime, and how it has conducted monetary and exchange rate policy under the regime. By conducting three empirical analyses, we characterize the monetary and exchange rate policy regime in Malaysia by three intermediate solutions on three vectors: the degree of autonomy in monetary policy, the degree of variability of the exchange rate, and the degree of capital mobility.

Exchange rate overvaluation under hyperinflation: The case of Peru

This dissertation examines the behavior of the exchange rate under two different scenarios. The first one is characterized by, relatively, low inflation or a situation where prices adjust sluggishly. The second is a high inflation economy where prices respond very rapidly even to unanticipated shocks. In the first one, following a monetary expansion, the exchange rate overshoots, i.e. the nominal exchange rate depreciates at a faster pace than the price level. Under high levels of inflation, prices change faster than the exchange rate so the exchange rate undershoots its long run equilibrium value.^ The standard work in this area, Dornbusch (1976), explains the overshooting process in the context of perfect capital mobility and sluggish adjustment in the goods market. A monetary expansion will make the exchange rate increase beyond its long run equilibrium value. This dissertation expands on Dornbusch's model and provides an analysis of the exchange rate under conditions of currency substitution and price flexibility, characteristics of the Peruvian economy during the hyper inflation process that took place at the end of the 1980's. The results of the modified Dornbusch model reveal that, given a monetary expansion, the change in the price level will be larger than the change in the exchange rate if prices react more than proportionally to the monetary shock.^ We will expect this over-reaction in circumstances of high inflation when the velocity of money is increasing very rapidly. Increasing velocity of money, gives rise to a higher relative price variability which in turn contributes to the appearance of new financial (and also non-financial) instruments that report a higher return than the exchange rate, causing people to switch their demand for foreign exchange to this new assets. In the context of currency substitution, economic agents hoard and use foreign exchange as a store of value. The big decline in output originated by hyper inflation induces people to sell this hoarded money to finance current expenses, increasing the supply of foreign exchange in the market. Both, the decrease in demand and the increase in supply reduce the price of foreign exchange i.e. the real exchange rate. The findings mentioned above are tested using Peruvian data for the period January 1985-July 1990, the results of the econometric estimation confirm our findings in the theoretical model. ^

Variabilidade da frequência cardíaca após treinamento concorrente : comparação entre homens e mulheres de meia-idade = Heart rate variability after concurrent training : comparison between middle-aged men and women

Universidade Estadual de Campinas . Faculdade de Educação Física

Influence of high- and low-carbohydrate diet following glycogen-depleting exercise on heart rate variability and plasma catecholamines

The purpose of this study was to investigate the effects of a short-term low-or high-carbohydrate (CHO) diet consumed after exercise on sympathetic nervous system activity. Twelve healthy males underwent a progressive incremental test; a control measurement of plasma catecholamines and heart rate variability (HRV); an exercise protocol to reduce endogenous CHO stores; a low-or high-CHO diet (counterbalanced order) consumed for 2 days, beginning immediately after the exercise protocol; and a second resting plasma catecholamine and HRV measurement. The exercise and diet protocols and the second round of measurements were performed again after a 1-week washout period. The mean (+/- SD) values of the standard deviation of R-R intervals were similar between conditions (control, 899.0 +/- 146.1 ms; low-CHO diet, 876.8 +/- 115.8 ms; and high-CHO diet, 878.7 +/- 127.7 ms). The absolute high-and low-frequency (HF and LF, respectively) densities of the HRV power spectrum were also not different between conditions. However, normalized HF and LF (i.e., relative to the total power spectrum) were lower and higher, respectively, in the low-CHO diet than in the control diet (mean +/- SD, 17 +/- 9 normalized units (NU) and 83 +/- 9 NU vs. 27 +/- 11 NU and 73 +/- 17 NU, respectively; p < 0.05). The LF/HF ratio was higher with the low-CHO diet than with the control diet (mean +/- SD, 7.2 +/- 6.2 and 4.2 +/- 3.2, respectively; p < 0.05). The mean values of plasma catecholamines were not different between diets. These results suggest that the autonomic control of the heart rate was modified after a short-term low-CHO diet, but plasma catecholamine levels were not altered.

Real exchange rate and elasticity of labour supply in a balance-of-payments-constrained macrodynamics

A macrodynamic model is proposed in which the real exchange rate and the elasticity of labour supply interact defining different trajectories of growth and income distribution in a developing economy. Growth depends on imports of capital goods which are paid with exports (there are no capital flows) and hence is constrained by equilibrium in current account. The role of the elasticity of labour supply is to prevent the real exchange rate from appreciating as the economy grows, thereby sustaining international competitiveness. The model allows for endogenous technological change and considers the impact of migration from the subsistence to the modern sector on the cumulative (Kaldor-Verdoorn) process of learning.

Structural and electron self-exchange rate variations in isomeric (hexaamine)cobalt(III/II) complexes

The syntheses and characterisation of the new macrocyclic hexaamine trans-(5(S),7(S),12(R),14(R)-tetramethyl)-1,4,8,11-tetraazacyclotetradecane-6,13-diamine (L-6) and its Co-III complex are reported. The X-ray crystal structural analyses of [CoL6]Cl-2(ClO4) [monoclinic, space group C2/c, a = 16.468(3) Angstrom, b = 9.7156(7) Angstrom, c = 15.070(3) Angstrom, beta = 119.431(8)degrees, Z = 4] and the closely related cis-diamino-substituted macrocyclic complex [CoL2](ClO4)(3) . 2H(2)O (L-2 = cis-6,13-dimethyl-1,4,8,11-tetraazacyclotetradecane-6,13-diamine) [orthorhombic, space group Pna2(1), a = 16.8220(8) Angstrom, b = 10.416(2) Angstrom, c = 14.219(3) Angstrom, Z = 4] reveal significant variations in the observed Co-N bond lengths and coordination geometries, which may be attributed to the trans or cis disposition of the pendent primary amines. The Co-III/II self-exchange electron transfer rate constants for these and other closely related hexaamines have been determined, and variations of some 2 orders of magnitude are found between pairs of trans and cis isomeric Co-III complexes.

Changes in plasma free fatty acid levels in septic patients are associated with cardiac damage and reduction in heart rate variability

Free fatty acids (FFAs) have been shown to produce alteration of heart rate variability (HRV) in healthy and diabetic individuals. Changes in HRV have been described in septic patients and in those with hyperglycemia and elevated plasma FFA levels. We studied if sepsis-induced heart damage and HRV alteration are associated with plasma FFA levels in patients. Thirty-one patients with sepsis were included. The patients were divided into two groups: survivors(n = 12) and nonsurvivors (n = 19). The following associations were investigated: (a) troponin I elevation and HRV reduction and (b) clinical evolution and HRV index, plasma troponin, and plasma FFA levels. Initial measurements of C-reactive protein and gravity Acute Physiology and Chronic Health Evaluation scores were similar in both groups. Overall, an increase in plasma troponin level was related to increased mortality risk. From the first day of study, the nonsurvivor group presented a reduced left ventricular stroke work systolic index and a reduced low frequency (LF) that is one of HRV indexes. The correlation coefficient for LF values and troponin was r(2) = 0.75 (P < 0.05). All patients presented elevated plasma FFA levels on the first day of the study (5.11 +/- 0.53 mg/mL), and this elevation was even greater in the nonsurvivor group compared with the survivors (6.88 +/- 0.13 vs. 3.85 +/- 0.48 mg/mL, respectively; P < 0.05). Cardiac damage was confirmed by measurement of plasma troponin I and histological analysis. Heart dysfunction was determined by left ventricular stroke work systolic index and HRV index in nonsurvivor patients. A relationship was found between plasma FFA levels, LFnu index, troponin levels, and histological changes. Plasma FFA levels emerged as possible cause of heart damage in sepsis.

Influence of third-generation oral contraceptives on the complexity analysis and symbolic dynamics of heart rate variability

Objective To evaluate the influence of oral contraceptives (OCs) containing 20 mu mu g ethinylestradiol (EE) and 150 mu mu g gestodene (GEST) on the autonomic modulation of heart rate (HR) in women. Methods One-hundred and fifty-five women aged 24 +/-+/- 2 years were divided into four groups according to their physical activity and the use or not of an OC: active-OC, active-non-OC (NOC), sedentary-OC, and sedentary-NOC. The heart rate was registered in real time based on the electrocardiogram signal for 15 minutes, in the supine-position. The heart rate variability (HRV) was analysed using Shannon`s entropy (SE), conditional entropy (complexity index [CInd] and normalised CInd [NCI]), and symbolic analysis (0V%, 1V%, 2LV%, and 2ULV%). For statistical analysis the Kruskal-Wallis test with Dunn post hoc and the Wilcoxon test (p < 0.05 was considered significant) were applied. Results Treatment with this COC caused no significant changes in SE, CInd, NCI, or symbolic analysis in either active or sedentary groups. Active groups presented higher values for SE and 2ULV%, and lower values for 0V% when compared to sedentary groups (p < 0.05). Conclusion HRV patterns differed depending on life style; the non-linear method applied was highly reliable for identifying these changes. The use of OCs containing 20 mu mu g EE and 150 mu mu g GEST does not influence HR autonomic modulation.

Effects of progressive exercise during phase I cardiac rehabilitation on the heart rate variability of patients with acute myocardial infarction

Purpose. aEuro integral Heart rate variability (HRV) decreases after an acute myocardial infarction (AMI) due to changes in cardiac autonomic balance. The purpose of the present study, therefore, was to evaluate the effects of a progressive exercise protocol used in phase I cardiac rehabilitation on the HRV of patients with post-AMI. Material and methods. aEuro integral Thirty-seven patients who had been admitted to hospital with their first non-complicated AMI were studied. The treated group (TG, n == 21, age == 52 +/-+/- 12 years) performed a 5-day programme of progressive exercise during phase I cardiac rehabilitation, while the control group (CG, n == 16, age == 54 +/-+/- 11 years) performed only respiratory exercises. Instantaneous heart rate (HR) and RR interval were acquired by a HR monitor (Polar (R) A (R) S810i). HRV was analysed by frequency domain methods. Power spectral density was expressed as normalised units (nu) at low (LF) and high (HF) frequencies, and as LF/HF. Results. aEuro integral After 5 days of progressive exercise, the TG showed an increase in HFnu (35.9 +/-+/- 19.5 to 65.19 +/-+/- 25.4) and a decrease in LFnu and LF/HF (58.9 +/-+/- 21.4 to 32.5 +/-+/- 24.1; 3.12 +/-+/- 4.0 to 1.0 +/-+/- 1.5, respectively) in the resting position (p < 0.05). No changes were observed in the CG. Conclusions. aEuro integral A progressive physiotherapeutic exercise programme carried out during phase I cardiac rehabilitation, as supplement to clinical treatment increased vagal and decreased sympathetic cardiac modulation in patients with post-AMI.